• International Area Studies Review
• /
• v.13 no.1
• /
• pp.55-79
• /
• 2009

This papers studies the causalities and effects on the relationship between international trade and economic growth in China for the period of 1950-2007, using the unit root test, the Granger causality test, the cointegration test, VAR model, and VECM. The results of this study are as follows: Firstly, in the unit root test, I found that each time series was unstable one that has unit root. Secondly, in the Granger Causality test, this papers shows that variable dlexp and dlinp influence on dlgdp and dlgdd, while bilateral causality relation between dlexp and dlgdp, dlexp and dlgdd for the whole period, for the whole period, pre-reform period and post-reform period. Thirdly, there is no cointegraion relation between lgdp(or dlgdp, lgdd, dlgdd) and lexp, linp for lgdd-limp in the whole period, and pre-reform period, while no cointegration relation for the post-reform period. Finally, in the impulse-response test, it was proved that lgdp represents (-) correlation with lexp for the whole period. Thorough the variance decomposition test, it was proved that linp(or dlinp) is the most affected variable of the each data and relation between linp(or dlinp) and lexp(or dlexp) has become bigger recently.

• Bulletin of the Korean Mathematical Society
• /
• v.55 no.2
• /
• pp.561-572
• /
• 2018

In this paper we consider the concept of statistical causality in continuous time between flows of information, represented by filtrations. Then we relate the given concept of causality to the equivalent change of measure that plays an important role in mathematical finance. We give necessary and sufficient conditions, in terms of statistical causality, for extremality of measure in the set of martingale measures. Also, we have considered the extremality of measure which involves the stopping time and the stopped processes, and obtained similar results. Finally, we show that the concept of unique equivalent martingale measure is strongly connected to the given concept of causality and apply this result to the continuous market model.

• Asia-Pacific Journal of Business
• /
• v.7 no.1
• /
• pp.1-10
• /
• 2016

This study attempts to investigate the effects of different types of debts on economic growth in Bangladesh using time series data spanning from 2000 to 2015. In this study, the RDL model has been applied to determine the long run relationship among the selected variables. The result of the ARDL model shows that there exists a long term relationship between economic growth and the debt variables. It was evident from the findings that there exists bidirectional causality between public sector external debt and economic growth. Causality between private external debt and economic growth has been found to be insignificant. However, causality between domestic debt and economic growth showed a unidirectional causality from domestic debt to economic growth and not vice versa. Causality tests suggest that impact of domestic debt on economic growth is more effective compared to external debts.

• Korean Management Science Review
• /
• v.25 no.3
• /
• pp.13-26
• /
• 2008

We investigate the effect of government and public sector R&D Investment at IT Industry on the amount of Production, export and nongovernment R&D Investment at IT Industry. We, firstly, examine the stationarity of each variable by the unit root t-test and perform the co-integration test for the pairs of variables. We use YECM(Vector Error Correction Model) according to the results of co-integration test for the examination of Granger-causality between variables. It is found that there exist an Granger-causality between public sector R&D Investment and nongovernment R&D investment and also between public sector R&D Investment and export. Secondly, we analyze the impulse response of government and public sector R&D Investment at IT Industry on the amount of production, export and nongovernment R&D investment at IT Industry based on VECM model. It is found that the response of the amount of production is highest at 3th period and is lowest at 8th period and that of export shows similar pattern.

• The Journal of Fisheries Business Administration
• /
• v.44 no.2
• /
• pp.101-109
• /
• 2013

This study is aimed to analyze investment effects of fisheries R&D projects of the National Fisheries Research and Development Institute(NFRDI). In the analysis, Granger causal relations between R&D investment and fisheries production are tested. In addition, time-lag effects of fisheries R&D investment are estimated with an impulse response analysis and investment effects of R&D projects are estimated by changes of social surplus. Results indicate that there exists an Granger-causality between R&D investment and fisheries production and fisheries production responds to the fisheries R&D shock about three years after the initial shock. The magnitudes of the impacts increase until a peak is reached 5~7 years and the impacts decline to zero after 25 years. As investment effects, it is shown that the internal rate of returns of fisheries R&D investment is 55.2%.

• Land and Housing Review
• /
• v.11 no.3
• /
• pp.33-37
• /
• 2020

The aim of this paper is to scrutinize the relation between Business Survey Index and Industrial Production Index in construction industry, stated in another way, the relation between CEO's expectations of future business status and real business activity in construction industry. Previous papers on this research area have been examined the relation between released BSI and released IPI. However, this paper focuses 'the relation between released BSI and the long-run component of IPI' and 'the relation between released BSI and the short-run component of IPI'. The first step is to decompose released IPI by unobserved component model. The long-run component of IPI is set up as a random walk process. And short-run component is set up as a stationary AR(1) process. The findings are as follows. First, released BSI Granger causes unidirectionally released IPI. Second, there exists one-way Granger causality from released BSI to long-run component of IPI. Third, Granger causality does not exist between released BSI and 'short-run component of IPI'. BSI increases IPI in the second or third month. These findings of this paper mean that CEO's expectations may influence industrial production in construction industry.

• International Area Studies Review
• /
• v.14 no.3
• /
• pp.363-387
• /
• 2010

This papers studies the causalities and effects on the relationship between inbound tourism(TOU) and the production amount of service industry in China, using the unit root test, the Granger causality test, the cointegration test, and VECM. we take their natural logarithm and define them as TOU and SGDP: these represent the distributed variable based the lagged values of the number of international tourists by continent and real production amount in service industry of China, respectively. The results of empirical study of this papers are as follows: Firstly, in the unit root test, we found that each time series was unstable one that has unit root. This result made me use 1st differenced data for this empirical study. Secondly, in the Granger casuality test, the study results show that there is unilateral casuality relation between DLSGDP-$DLTOU_i$ except DLSGDP-DLTOUL model for the same time, while no casuality relation between DLTOU-DLSGDP for all models of China. Thirdly, there is cointegration relation between all models for the period of 1980-2008.

• Journal of the military operations research society of Korea
• /
• v.30 no.1
• /
• pp.135-152
• /
• 2004

Ever since Benoit's(1973, 1978) study, the relationship between defense spending and economic growth has been the subject of extensive empirical works. While a number of studies have reported that higher defense expenditure stimulate economic growth, many other studies have reported that an increase in military burden may hinder economic growth. To the extent that countries differ substantially in socioeconomic structures, the effects of defense spending cannot be generalized across countries. In this paper, Granger causality tests are performed between Korean defense expenditure and economic growth, consumption, investment, inflation and unemployment rate during the period from 1970 to 2002. The results show that Korean defense expenditure did not affect economic growth and unemployment rate. However, Korean defense expenditure caused consumption and inflation to decrease and investment to increase. On the other hand Korean defense expenditure was not Granger-caused by economic growth, consumption, investment, inflation and unemployment rate. In conclusion, the opportunity cost of Korean defense expenditure seemed to be relatively moderate considering Korean security environment. Even if it was not statistically significant, Korean defense burden at least did not bother economic growth.

• Journal of Korea Technology Innovation Society
• /
• v.4 no.1
• /
• pp.79-95
• /
• 2001

This paper examines the effects of information telecommunication (IT) capital and R&D stock variation on the growth of Korean industry, using a time series approach. Most specifically, we apply the Granger causality and impulse response analysis to our examination of Koreas industrial growth, IT capital, and R&D stocks. The Johansen co-integration test is performed in order to analyze long-term relations among these variables. This research explores the way in which IT capital and R&D stocks variation from economic shocks affects the growth of Koreas industrial sector. The effects are ambiguous, however, across industrial sectors. An impulse response function analysis shows that the effects of IT capital and R&D stock fluctuations in each industrial sector are presented for different time periods.

• International Commerce and Information Review
• /
• v.10 no.1
• /
• pp.329-347
• /
• 2008

The purpose of this study is to examine the causal relationship between the exchange rate and economic growth, and to induce policy implications. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply Granger causality based on an error correction model. The results indicate that uni-dierctional causality between exchange rate and economic growth is detected. Exchange rate impacts on economic growth, but economic growth don't impact on exchange rate. The analysis of impulse reaction function shows that the impulse of exchange rate impacts on Korean economic growth in negative direction. We can infer policy suggestion as follows: The fluctuation of exchange rate much affects economic growth, thus we must make a stable policy of exchange rate to continue economic growth.